Nonexpected Utility in Macroeconomics
This paper introduces, within the context of an infinite optimal consumption problem, a parametric class of Kreps-Porteus nonexpected utility preferences--generalized isoelastic utility--which distinguishes attitudes toward risk from behavior toward intertemporal substitution. Some of the theoretical and empirical implications for macroeconomics of these state- and time-nonseparable preferences are examined. Copyright 1990, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Volume (Year): 105 (1990)
Issue (Month): 1 (February)
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